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Citations for "Market risk in commodity markets: a VaR approach"

by GIOT, Pierre & LAURENT, Sébastien

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  1. Hung, Jui-Cheng & Lee, Ming-Chih & Liu, Hung-Chun, 2008. "Estimation of value-at-risk for energy commodities via fat-tailed GARCH models," Energy Economics, Elsevier, vol. 30(3), pages 1173-1191, May.
  2. Amélie Charles & Olivier Darné, 2012. "Volatility Persistence in Crude Oil Markets," Working Papers hal-00719387, HAL.
  3. Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2014. "Realized volatility models and alternative Value-at-Risk prediction strategies," Economic Modelling, Elsevier, vol. 40(C), pages 101-116.
  4. Ghorbel, Ahmed & Trabelsi, Abdelwahed, 2014. "Energy portfolio risk management using time-varying extreme value copula methods," Economic Modelling, Elsevier, vol. 38(C), pages 470-485.
  5. Chkili, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Energy Economics, Elsevier, vol. 41(C), pages 1-18.
  6. He, Kaijian & Lai, Kin Keung & Yen, Jerome, 2011. "Value-at-risk estimation of crude oil price using MCA based transient risk modeling approach," Energy Economics, Elsevier, vol. 33(5), pages 903-911, September.
  7. Chang, Kuang-Liang, 2012. "The time-varying and asymmetric dependence between crude oil spot and futures markets: Evidence from the Mixture copula-based ARJI–GARCH model," Economic Modelling, Elsevier, vol. 29(6), pages 2298-2309.
  8. Chang, Ting-Huan & Su, Hsin-Mei & Chiu, Chien-Liang, 2011. "Value-at-risk estimation with the optimal dynamic biofuel portfolio," Energy Economics, Elsevier, vol. 33(2), pages 264-272, March.
  9. Aloui, Chaker & Mabrouk, Samir, 2010. "Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models," Energy Policy, Elsevier, vol. 38(5), pages 2326-2339, May.
  10. Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2007. "A robust VaR model under different time periods and weighting schemes," Review of Quantitative Finance and Accounting, Springer, vol. 28(2), pages 187-201, February.
  11. Matteo Manera & Alessandro Lanza & Michael McAleer, 2004. "Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns," Working Papers 2004.72, Fondazione Eni Enrico Mattei.
  12. Sadorsky, Perry, 2006. "Modeling and forecasting petroleum futures volatility," Energy Economics, Elsevier, vol. 28(4), pages 467-488, July.
  13. Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011. "The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting," MPRA Paper 35252, University Library of Munich, Germany.
  14. Charfeddine, Lanouar, 2016. "Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis," Economic Modelling, Elsevier, vol. 53(C), pages 354-374.
  15. Victoria Gabriela ANGHELACHE & Dumitru Cristian OANEA & Bogdan ZUGRAVU, 2013. "General Aspects Regarding the Methodology for Prediction Risk," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 61(2), pages 66-72, May.
  16. repec:ipg:wpaper:2014-053 is not listed on IDEAS
  17. repec:ipg:wpaper:2013-028 is not listed on IDEAS
  18. Wang, Yudong & Wu, Chongfeng & Yang, Li, 2016. "Forecasting crude oil market volatility: A Markov switching multifractal volatility approach," International Journal of Forecasting, Elsevier, vol. 32(1), pages 1-9.
  19. Demiralay, Sercan & Ulusoy, Veysel, 2014. "Value-at-risk Predictions of Precious Metals with Long Memory Volatility Models," MPRA Paper 53229, University Library of Munich, Germany.
  20. Mabrouk, Samir & Saadi, Samir, 2012. "Parametric Value-at-Risk analysis: Evidence from stock indices," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(3), pages 305-321.
  21. Auer, Benjamin R., 2014. "Daily seasonality in crude oil returns and volatilities," Energy Economics, Elsevier, vol. 43(C), pages 82-88.
  22. Cheong, Chin Wen, 2009. "Modeling and forecasting crude oil markets using ARCH-type models," Energy Policy, Elsevier, vol. 37(6), pages 2346-2355, June.
  23. Kang, Sang Hoon & Kang, Sang-Mok & Yoon, Seong-Min, 2009. "Forecasting volatility of crude oil markets," Energy Economics, Elsevier, vol. 31(1), pages 119-125, January.
  24. Marc Joëts, 2012. "Energy price transmissions during extreme movements," EconomiX Working Papers 2012-38, University of Paris West - Nanterre la Défense, EconomiX.
  25. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2010. "Forecasting crude oil market volatility: Further evidence using GARCH-class models," Energy Economics, Elsevier, vol. 32(6), pages 1477-1484, November.
  26. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2011. "A copula–multifractal volatility hedging model for CSI 300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4260-4272.
  27. Helen Higgs & Andrew C Worthington, 2004. "Systematic Features of High-Frequency Volatility in Australian Electricity Markets: Intraday Patterns, Information Arrival and Calendar Effects," School of Economics and Finance Discussion Papers and Working Papers Series 186, School of Economics and Finance, Queensland University of Technology.
  28. Wei, Yu, 2012. "Forecasting volatility of fuel oil futures in China: GARCH-type, SV or realized volatility models?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5546-5556.
  29. Derek Bunn, Arne Andresen, Dipeng Chen, Sjur Westgaard, 2016. "Analysis and Forecasting of Electricty Price Risks with Quantile Factor Models," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).
  30. de Araújo, André da Silva & Garcia, Maria Teresa Medeiros, 2013. "Risk contagion in the north-western and southern European stock markets," Journal of Economics and Business, Elsevier, vol. 69(C), pages 1-34.
  31. Chiu, Yen-Chen & Chuang, I-Yuan & Lai, Jing-Yi, 2010. "The performance of composite forecast models of value-at-risk in the energy market," Energy Economics, Elsevier, vol. 32(2), pages 423-431, March.
  32. repec:ipg:wpaper:2013-009 is not listed on IDEAS
  33. Al Janabi, Mazin A.M., 2012. "Optimal commodity asset allocation with a coherent market risk modeling," Review of Financial Economics, Elsevier, vol. 21(3), pages 131-140.
  34. Marc Joëts, 2013. "Energy price transmissions during extreme movements," Working Papers 2013-28, Department of Research, Ipag Business School.
  35. Timotheos Angelidis & Alexandros Benos, 2006. "Liquidity adjusted value-at-risk based on the components of the bid-ask spread," Applied Financial Economics, Taylor & Francis Journals, vol. 16(11), pages 835-851.
  36. repec:ipg:wpaper:201409 is not listed on IDEAS
  37. Lin, Xiaoqiang & Fei, Fangyu, 2013. "Long memory revisit in Chinese stock markets: Based on GARCH-class models and multiscale analysis," Economic Modelling, Elsevier, vol. 31(C), pages 265-275.
  38. Hung, Jui-Cheng & Yi-Hsien Wang, & Chang, Matthew C. & Shih, Kuang-Hsun & Hsiu-Hsueh Kao,, 2011. "Minimum variance hedging with bivariate regime-switching model for WTI crude oil," Energy, Elsevier, vol. 36(5), pages 3050-3057.
  39. Costello, Alexandra & Asem, Ebenezer & Gardner, Eldon, 2008. "Comparison of historically simulated VaR: Evidence from oil prices," Energy Economics, Elsevier, vol. 30(5), pages 2154-2166, September.
  40. Wang, Yudong & Wu, Chongfeng, 2012. "Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?," Energy Economics, Elsevier, vol. 34(6), pages 2167-2181.
  41. Timotheos Angelidis & George Skiadopoulos, 2008. "Measuring The Market Risk Of Freight Rates: A Value-At-Risk Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(05), pages 447-469.
  42. Stavros Degiannakis & Pamela Dent & Christos Floros, 2014. "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," Manchester School, University of Manchester, vol. 82(1), pages 71-102, 01.
  43. Fan, Ying & Zhang, Yue-Jun & Tsai, Hsien-Tang & Wei, Yi-Ming, 2008. "Estimating 'Value at Risk' of crude oil price and its spillover effect using the GED-GARCH approach," Energy Economics, Elsevier, vol. 30(6), pages 3156-3171, November.
  44. Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics.
  45. Cheng, Wan-Hsiu & Hung, Jui-Cheng, 2011. "Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 160-173, January.
  46. Huang, Dashan & Yu, Baimin & Fabozzi, Frank J. & Fukushima, Masao, 2009. "CAViaR-based forecast for oil price risk," Energy Economics, Elsevier, vol. 31(4), pages 511-518, July.
  47. Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2013. "Long memory and asymmetry in the volatility of commodity markets and Basel Accord: choosing between models," Working Papers 2013-9, Department of Research, Ipag Business School.
  48. Benoît Sévi, 2014. "Forecasting the volatility of crude oil futures using intraday data," Working Papers 2014-53, Department of Research, Ipag Business School.
  49. repec:ipg:wpaper:2014-412 is not listed on IDEAS
  50. Nicolas Merener, 2016. "Concentrated Production and Conditional Heavy Tails in Commodity Returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(1), pages 46-65, 01.
  51. Köksal, Bülent & Orhan, Mehmet, 2012. "Market risk of developed and developing countries during the global financial crisis," MPRA Paper 37523, University Library of Munich, Germany.
  52. Haugom, Erik & Ray, Rina & Ullrich, Carl J. & Veka, Steinar & Westgaard, Sjur, 2016. "A parsimonious quantile regression model to forecast day-ahead value-at-risk," Finance Research Letters, Elsevier, vol. 16(C), pages 196-207.
  53. Florian Ielpo & Benoît Sévi, 2014. "Forecasting the density of oil futures," Working Papers 2014-601, Department of Research, Ipag Business School.
  54. Wu, Chih-Chiang & Chung, Huimin & Chang, Yu-Hsien, 2012. "The economic value of co-movement between oil price and exchange rate using copula-based GARCH models," Energy Economics, Elsevier, vol. 34(1), pages 270-282.
  55. repec:ipg:wpaper:28 is not listed on IDEAS
  56. Paraschiv, Florentina & Mudry, Pierre-Antoine & Andries, Alin Marius, 2015. "Stress-testing for portfolios of commodity futures," Economic Modelling, Elsevier, vol. 50(C), pages 9-18.
  57. repec:ipg:wpaper:9 is not listed on IDEAS
  58. Kostas Andriosopoulos & Nikos Nomikos, 2012. "Risk management in the energy markets and Value-at-Risk modelling: a Hybrid approach," RSCAS Working Papers 2012/47, European University Institute.
  59. Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011. "Are realized volatility models good candidates for alternative Value at Risk prediction strategies?," MPRA Paper 30364, University Library of Munich, Germany.
  60. Higgs, Helen & Lien, Gudbrand & Worthington, Andrew C., 2015. "Australian evidence on the role of interregional flows, production capacity, and generation mix in wholesale electricity prices and price volatility," Economic Analysis and Policy, Elsevier, vol. 48(C), pages 172-181.
  61. Wang, Yudong & Wu, Chongfeng & Wei, Yu, 2011. "Can GARCH-class models capture long memory in WTI crude oil markets?," Economic Modelling, Elsevier, vol. 28(3), pages 921-927, May.
  62. Chang, Kuang-Liang, 2012. "Volatility regimes, asymmetric basis effects and forecasting performance: An empirical investigation of the WTI crude oil futures market," Energy Economics, Elsevier, vol. 34(1), pages 294-306.
  63. Kulp-Tåg, Sofie, 2007. "An Empirical Investigation of Value-at-Risk in Long and Short Trading Positions," Working Papers 526, Hanken School of Economics.
  64. Braione, Manuela & Scholtes, Nicolas K., 2014. "Construction of value-at-risk forecasts under different distributional assumptions within a BEKK framework," CORE Discussion Papers 2014059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  65. Liao, Huei-Chu & Lee, Yi-Huey & Suen, Yu-Bo, 2008. "Electronic trading system and returns volatility in the oil futures market," Energy Economics, Elsevier, vol. 30(5), pages 2636-2644, September.
  66. Alvarez-Ramirez, Jose & Alvarez, Jesus & Rodriguez, Eduardo, 2008. "Short-term predictability of crude oil markets: A detrended fluctuation analysis approach," Energy Economics, Elsevier, vol. 30(5), pages 2645-2656, September.
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